Yes, "Fey" does mean those things... but "Fay" is a well-established name that doesn't bring to mind any of those things. When someone mentions Faye Dunaway, no one thinks of effeminate men/being doomed to die/acting crazy. It's name all on its own. And women can be pretty awesome. Mythological deities, even better.

It's been my experience that adults make far more of a ruckus over 'name teasing' than children actually do. They're children, after all. They don't know what a 'normal name' is. If it weren't for parents' comments, other kids wouldn't be able to tell the difference between Ezra, Jonah, Phaedra, and Luca. Certain kids will get picked on, regardless of their names. Sometimes it's a Christopher or a Matthew. It has nothing to do with the name at all.

This.

Really, unless you name your kid something ridiculous in this naming era like Gaylord or Dick, you'll probably be able to shirk name teasing entirely.

I think it's a great name on either gender, and it was bold of them to use a traditionally female name on their son. Sounds great with Astala too (which I also love!). I'm kind of obsessing over his middle names, Bloom and Forever, as well. Not everyone's taste, but very cool I think.